相关论文: Exit asymptotics for small diffusion about an unst…
The time-asymptotic behavior of undamped, nonlinear oscillators with a random frequency is investigated analytically and numerically. We find that averaged quantities of physical interest, such as the oscillator's mechanical energy,…
We develop a provably efficient importance sampling scheme that estimates exit probabilities of solutions to small-noise stochastic reaction-diffusion equations from scaled neighborhoods of a stable equilibrium. The moderate deviation…
We consider instabilities of a single mode with finite wavenumber in inversion symmetric spatially one dimensional systems, where the character of the bifurcation changes from sub- to supercritical behaviour. Starting from a general…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
We consider effect of stochastic sources upon self-organization process being initiated with creation of the limit cycle. General expressions obtained are applied to the stochastic Lorenz system to show that departure from equilibrium…
We consider a stochastically perturbed reaction diffusion equation in a bounded interval, with boundary conditions imposing the two stable phases at the endpoints. We investigate the asymptotic behavior of the front separating the two…
This paper is concerned with a diffusion model of phase-field type, consisting of a parabolic system of two partial differential equations, interpreted as balances of microforces and microenergy, for two unknowns: the problem's order…
We consider a simultaneous small noise limit for a singularly perturbed coupled diffusion described by \begin{eqnarray*} dX^{\varepsilon}_t &=& b(X^{\varepsilon}_t, Y^{\varepsilon}_t)dt + \varepsilon^{\alpha}dB_t, dY^{\varepsilon}_t &=& -…
We analyse the stability of periodic, travelling-wave solutions to the Kawahara equation and some of its generalizations. We determine the parameter regime for which these solutions can exhibit resonance. By examining perturbations of…
This paper studies, in dimensions greater than two, stationary diffusion processes in random environment which are small, isotropic perturbations of Brownian motion satisfying a finite range dependence. Such processes were first considered…
We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-type quasi-likelihood estimator and show its consistency and…
Path integral techniques are used to understand the behaviour of a particle moving in a bistable potential well and acted upon by quasi-monochromatic external noise. In the limit of small diffusion coefficient, a steepest descent evaluation…
Noise plays a fundamental role in a wide variety of physical and biological dynamical systems. It can arise from an external forcing or due to random dynamics internal to the system. It is well established that even weak noise can result in…
Here we numerically study a model of excitable media, namely, a network with occasionally quiet nodes and connection weights that vary with activity on a short-time scale. Even in the absence of stimuli, this exhibits unstable dynamics,…
The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if the price process is contaminated by microstructure noise.…
Integrable non-linear Hamiltonian systems perturbed by additive noise develop a Lyapunov instability, and are hence chaotic, for any amplitude of the perturbation. This phenomenon is related, but distinct, from Taylor's diffusion in…
A simple model of an irreversible process is introduced. The equation of iterations in the model includes a noise generation term. We study the properties of the system when the noise generation term is a stochastic process (e.g. a random…
In this paper, we consider the asymptotic stability for a system of linear delay differential equations. By analysing of the characteristic equation in detail, we have established the necessary and sufficient condition for the asymptotic…
The emergence of the exit events from a bounded domain containing a stable fixed point induced by non-Gaussian L\'evy fluctuations plays a pivotal role in practical physical systems. In the limit of weak noise, we develop a Hamiltonian…
The dynamics of the kicked-rotor, that is a paradigm for a mixed system, where the motion in some parts of phase space is chaotic and in other parts is regular is studied statistically. The evolution (Frobenius-Perron) operator of phase…